In Q3, volumes for new European issuance have roughly matched the volume of maturing securities.

The market still remains frozen. According to Dealogic, the majority of securitisations are being retained, presumably for repo purposes in central bank liquidity schemes.

The ECB collateral framework was modified. Changes made to the framework included the acceptance of USD, GBP and JPY debt securities issued in the 15-nation region (in addition to those denominated in EUR), certificates of deposit, and subordinated debt. With the exception of ABS, the credit quality threshold for most marketable and non-marketable assets was lowered to BBB- from A-, with additional haircuts introduced for the newly eligible, lower credit quality assets.

European central banks implemented a variety of policies to ease lending pressures and combat market turmoil in Q3 and since. Such measures included the creation of new liquidity facilities, broadened standards for acceptable collateral, and expanded criteria for eligible counterparties.

The Bank of England (BoE) extended the criteria for acceptable collateral for its Special Liquidity Scheme (SLS) and other open market operations. The SLS was also increased to GBP 200 billion from GBP 50 billion and the expiration date for the program has been pushed back to the end of January 2009 from the end of October 2008.

About the Report

The AFME / ESF data report, done in partnership with AFME / ESF, is a quarterly report that consolidates both U.S. and European data for the securitisation markets:

• issuance activity;
• deal sizes;
• outstanding balances;
• rating changes;
• credit spread changes;
• index data;
• ABCP issuance; and
• highlights and commentary.

For more information on AFME’s efforts in the European structured finance sector, please visit AFME.

Credits

AFME / ESF

• Rick Watson
• Marco Angheben
• Nathaniel Emodi

SIFMA Research

• Managing Director, Research: Kyle Brandon
• Research Associate: Sharon Sung